When Picasso was 19, his close friend Carles Casagemas, a Spanish poet, shot himself at a dinner party in Paris. Picasso was still living in Barcelona. “It was thinking about Casagemas that got me started painting in blue,” he said. The Death of Casagemas is considered Picasso’s first “blue” work, but even before that death, the artist had descended into his own depression. It didn’t help that the new subjects of his paintings—lowlifes and outcasts of society—were not popular with the public. Dating from 1901 to 1904, Picasso’s blue period is introverted and melancholy. This much-awaited show focuses on works from that formative phase. —E.C.